| Metric | SPY | PXTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.3% | 33.23% |
| CAGR﹪ | 18.62% | 33.84% |
| Sharpe | 1.07 | 1.94 |
| Prob. Sharpe Ratio | 85.46% | 97.19% |
| Smart Sharpe | 1.04 | 1.77 |
| Sortino | 1.56 | 2.97 |
| Smart Sortino | 1.52 | 2.71 |
| Sortino/√2 | 1.1 | 2.1 |
| Smart Sortino/√2 | 1.07 | 1.92 |
| Omega | 1.26 | 1.44 |
| Max Drawdown | -8.88% | -6.29% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-02-12 |
| Max DD Period End | 2026-04-13 | 2026-04-10 |
| Longest DD Days | 76 | 58 |
| Volatility (ann.) | 13.04% | 13.44% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 2.1 | 5.38 |
| Skew | -0.16 | -0.14 |
| Kurtosis | 1.03 | 0.82 |
| Ulcer Performance Index | 8.48 | 17.64 |
| Risk-Adjusted Return | 18.62% | 34.18% |
| Risk-Return Ratio | 0.09 | 0.14 |
| Avg. Return | 0.07% | 0.12% |
| Avg. Win | 0.68% | 0.79% |
| Avg. Loss | -0.72% | -0.74% |
| Win/Loss Ratio | 0.94 | 1.06 |
| Profit Ratio | 0.91 | 0.83 |
| Expected Daily | 0.07% | 0.12% |
| Expected Monthly | 1.3% | 2.23% |
| Expected Yearly | 8.77% | 15.42% |
| Kelly Criterion | 4.88% | 15.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.27% |
| Expected Shortfall (cVaR) | -1.72% | -1.81% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.26 | 0.44 |
| Gain/Pain (1M) | 2.66 | 7.56 |
| Payoff Ratio | 0.94 | 1.06 |
| Profit Factor | 1.26 | 1.44 |
| Common Sense Ratio | 1.25 | 1.67 |
| CPC Index | 0.63 | 0.86 |
| Tail Ratio | 0.99 | 1.16 |
| Outlier Win Ratio | 2.88 | 2.97 |
| Outlier Loss Ratio | 3.16 | 3.21 |
| MTD | 1.08% | -2.26% |
| 3M | 3.82% | 7.55% |
| 6M | 19.85% | 22.83% |
| YTD | 14.3% | 26.54% |
| 1Y | 18.3% | 33.23% |
| 3Y (ann.) | 18.62% | 33.84% |
| 5Y (ann.) | 18.62% | 33.84% |
| 10Y (ann.) | 18.62% | 33.84% |
| All-time (ann.) | 18.62% | 33.84% |
| Best Day | 2.91% | 2.99% |
| Worst Day | -2.7% | -2.97% |
| Best Month | 10.51% | 6.97% |
| Worst Month | -4.94% | -2.26% |
| Best Year | 14.3% | 26.54% |
| Worst Year | 3.5% | 5.29% |
| Avg. Drawdown | -1.69% | -1.69% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.99 | 4.7 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.19 | 3.01 |
| Avg. Up Month | 2.6% | 3.29% |
| Avg. Down Month | -4.94% | -1.76% |
| Win Days | 54.03% | 56.33% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.69 |
| Alpha | - | 0.18 |
| Correlation | - | 66.99% |
| Treynor Ratio | - | 48.11% |
| Year | SPY | PXTIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 5.29 | 1.51 | + |
| 2026 | 14.30 | 26.54 | 1.86 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-12 | 2026-04-10 | -6.29 | 58 |
| 2025-10-28 | 2025-11-25 | -4.81 | 29 |
| 2025-10-07 | 2025-10-20 | -4.17 | 14 |
| 2026-09-04 | 2026-09-22 | -4.16 | 19 |
| 2026-06-15 | 2026-07-13 | -3.67 | 29 |
| 2026-04-22 | 2026-05-13 | -2.74 | 22 |
| 2025-12-12 | 2026-01-05 | -2.59 | 25 |
| 2026-01-16 | 2026-01-30 | -2.46 | 15 |
| 2026-06-05 | 2026-06-11 | -2.19 | 7 |
| 2026-08-05 | 2026-08-11 | -1.45 | 7 |